Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
Year of publication: |
2016
|
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Authors: | Ardia, David ; Guerrouaz, Anas ; Rey, Jeanne |
Published in: |
Assurances et gestion des risques : revue trimestrielle. - Montréal : HEC, ISSN 1705-7299, ZDB-ID 2108668-0. - Vol. 83.2016, 3/4, p. 115-133
|
Subject: | Mortgage | default | probability | entropy pooling | macroeconomic variables | stress-testing | VECM | OFSI | Hypothek | Entropie | Entropy | Insolvenz | Insolvency | Kointegration | Cointegration | Theorie | Theory | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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